High concentrations of copper (Cu2+) pose a great threat to aquatic animals. However, the mechanisms underlying the response of crustaceans to Cu2+ exposure have not been well studied. Therefore, we investigated the alterations of physiological and molecular parameters in Chinese mitten crab (Eriocheir sinensis) after Cu2+ exposure. The crabs were exposed to 0 (control), 0.04, 0.18, and 0.70 mg/L of Cu2+ for 5 days, and the hemolymph, hepatopancreas, gills, and muscle were sampled. The results showed that Cu2+ exposure decreased the antioxidative capacity and promoted lipid peroxidation in different tissues. Apoptosis was induced by Cu2+ exposure, and this activation was associated with the mitochondrial and ERK pathways in the hepatopancreas. ER stress-related genes were upregulated in the hepatopancreas but downregulated in the gills at higher doses of Cu2+. Autophagy was considerably influenced by Cu2+ exposure, as evidenced by the upregulation of autophagy-related genes in the hepatopancreas and gills. Cu2+ exposure also caused an immune response in different tissues, especially the hepatopancreas, where the TLR2-MyD88-NF-κB pathway was initiated to mediate the inflammatory response. Overall, our results suggest that Cu2+ exposure induces oxidative stress, ER stress, apoptosis, autophagy, and immune response in E. sinensis, and the toxicity may be implicated following the activation of the ERK, AMPK, and TLR2-MyD88-NF-κB pathways.